ProShares UltraShort Risk Analysis And Volatility Evaluation

KOLD -- USA Etf  

USD 43.12  1.21  2.73%

Macroaxis considers ProShares UltraShort not too volatile given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.3048 which implies ProShares UltraShort had 0.3048% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.6457% is justified by implied risk. Please employ ProShares UltraShort Coefficient Of Variation of 428.04, Semi Deviation of 1.77 and Risk Adjusted Performance of 0.1471 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

ProShares UltraShort Market Sensitivity

As returns on market increase, returns on owning ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, ProShares UltraShort is likely to outperform the market.
One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -0.2371
ProShares UltraShort Almost negative betaProShares UltraShort Beta Legend

ProShares UltraShort Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ProShares UltraShort Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares UltraShort Bloomberg Natrl Gas has beta of -0.2371 indicating as returns on benchmark increase, returns on holding ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, however, ProShares UltraShort Bloomberg Natrl Gas is likely to outperform the market. Moreover, ProShares UltraShort Bloomberg Natrl Gas has an alpha of 0.5318 implying that it can potentially generate 0.5318% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraShort is 328.08. The daily returns are destributed with a variance of 4.49 and standard deviation of 2.12. The mean deviation of ProShares UltraShort Bloomberg Natrl Gas is currently at 1.78. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.53
β
Beta against DOW=0.24
σ
Overall volatility
=2.12
Ir
Information ratio =0.17

Actual Return Volatility

ProShares UltraShort Bloomberg Natrl Gas inherits 2.1185% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5992% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Natrl Gas has a volatility of 2.12 and is 3.53 times more volatile than DOW. 19% of all equities and portfolios are less risky than ProShares UltraShort. Compared to the overall equity markets, volatility of historical daily returns of ProShares UltraShort Bloomberg Natrl Gas is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Bloomberg Natrl Gas to protect against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of ProShares UltraShort to be traded at $41.4 in 30 days. As returns on market increase, returns on owning ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, ProShares UltraShort is likely to outperform the market.

ProShares UltraShort correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Bloomberg and equity matching DJI index in the same portfolio.
Please see also Stocks Correlation. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.